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Adaptive Signal Processing Lect 1

This document outlines the contents and topics covered in an adaptive signal processing course. The course covers basic adaptive filtering methods including linear adaptive filters and supervised training. Lectures will cover topics such as the Wiener filter, least mean square adaptive filters, and Kalman filters. Students are required to complete project work and a final exam.

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43 views13 pages

Adaptive Signal Processing Lect 1

This document outlines the contents and topics covered in an adaptive signal processing course. The course covers basic adaptive filtering methods including linear adaptive filters and supervised training. Lectures will cover topics such as the Wiener filter, least mean square adaptive filters, and Kalman filters. Students are required to complete project work and a final exam.

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sliu2002
Copyright
© © All Rights Reserved
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1

SGN 2206 Adaptive Signal Processing


Lecturer:
Ioan Tabus
office: TF 414,
e-mail [email protected].fi
Contents of the course:
Basic adaptive signal processing methods
Linear adaptive filters
Supervised training
Requirements:
Project work: Exercises and programs for algorithm implementation
Final examination
Lecture 1 2

Text book: Simon Haykin, Adaptive Filter Theory


Prentice Hall International, 2002

0 Background and preview 10


Kalman Filters
1 Stationary Processes and Models 11
Square Root Adaptive Filters
2 Wiener Filters 12
Order Recursive Adaptive Filters
3 Linear Prediction 13
Finite Precision Effects
4 Method of Steepest Descent 14
Tracking of Time Varying Systems
Adaptive Filters using Infinite-Duration
5 Least-Mean-Square Adaptive Filters 15
Impulse Response Structures
Normalized Least-Mean-Square Adaptive
6 16 Blind Deconvolution
Filters
7 Frequency-Domain Adaptive Filters 17 Back-Propagation Learning
8 Method of Least Squares Epilogue
9 Recursive Least-Squares Algorithm
Lecture 1 3

1. Introduction to Adaptive Filtering


1.1 Example: Adaptive noise cancelling

• Found in many applications:


Cancelling 50 Hz interference in electrocardiography (Widrow, 1975);
Reduction of acoustic noise in speech (cockpit of a military aircraft: 10-15 dB reduction);
• Two measured inputs, d(n) and v1 (n):
- d(n) comes from a primary sensor: d(n) = s(n) + v0 (n)
where s(n) is the information bearing signal;
v0 (n) is the corrupting noise:
- v1 (n) comes from a reference sensor:
• Hypothesis:
* The ideal signal s(n) is not correlated with the noise sources v0 (n) and v1 (n);

Es(n)v0 (n − k) = 0, Es(n)v1 (n − k) = 0, for all k

* The reference noise v1 (n) and the noise v0 (n) are correlated, with unknown crosscorrelation p(k),
Ev0 (n)v1 (n − k) = p(k)
Lecture 1 4
Lecture 1 5
Lecture 1 6

• Description of adaptive filtering operations, at any time instant, n:


* The reference noise v1 (n) is processed by an adaptive filter, with time varying parameters
w0 (n), w1 (n), . . . , wM −1 (n), to produce the output signal
M
∑ −1
y(n) = wk (n)v1 (n − k)
k=0
.
* The error signal is computed as e(n) = d(n) − y(n).
* The parameters of the filters are modified in an adaptive manner. For example, using the LMS
algorithm (the simplest adaptive algorithm)

wk (n + 1) = wk (n) + µv1 (n − k)e(n) (LM S)

where µ is the adaptation constant.


Lecture 1 7

• Rationale of the method:


* e(n) = d(n) − y(n) = s(n) + v0 (n) − y(n)
* Ee2 (n) = Es2 (n) + E(v0 (n) − y(n))2 (follows from hypothesis: Exercise)
* Ee2 (n) depends on the parameters w0 (n), w1 (n), . . . , wM −1 (n)
* The algorithm in equation (LMS) modifies w0 (n), w1 (n), . . . , wM −1 (n) such that Ee2 (n) is minimized
* Since Es2 (n) does not depend on the parameters {wk (n)}, the algorithm (LMS) minimizes E(v0 (n) −
y(n))2 , thus statistically v0 (n) will be close to y(n) and therefore e(n) ≈ s(n), (e(n) will be close to
s(n)).
* Sketch of proof for Equation (LMS)
· e2 (n) = (d(n) − y(n))2 = (d(n) − w0 v1 (n) − w1 v1 (n − 1) − . . . wM −1 v1 (n − M + 1))2
Error Surface

30

· The square error surface 25

20

e2 (n) = F (w0 , . . . , wM −1 )
15

is a paraboloid. 10
20

15 20
15
10
10
5
5
w 0 0
1 w0

2
· The gradient of square error is ∇wk e2 (n) = de (n)
dwk = −2e(n)v1 (n − k)
Lecture 1 8

· The method of gradient descent minimization: wk (n + 1) = wk (n) − µ∇wk e2 (n) = wk (n) + µv1 (n −
k)e(n)
* Checking for effectiveness of Equation (LMS) in reducing the errors
M
∑ −1
ε(n) = d(n) − wk (n + 1)v1 (n − k)
k=0
M
∑ −1
= d(n) − (wk (n) + µv1 (n − k)e(n))v1 (n − k)
k=0
M
∑ −1 M
∑ −1
= d(n) − wk (n)v1 (n − k) − e(n)µ v12 (n − k)
k=0 k=0
M∑ −1
= e(n) − e(n)µ v12 (n − k)
k=0
M −1
∑ 2
= e(n)(1 − µ v1 (n − k))
k=0

In order to reduce the error by using the new parameters, w(n + 1)

|ε(n)| < |e(n)|


2
0<µ < ∑M −1 2
k=0 v1 (n − k)
Lecture 1 9
Lecture 1 10
Lecture 1 11
Lecture 1 12
Lecture 1 13

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